I replaced a burned out DRL today and I'll add my 2 cents.
First, read this link. This is the most detailed instructions you'll find anywhere.
http://forums.vwvortex.com/showthread.php?5643696
The grill.
Getting the grill off is both straight forward and a huge PITA. The 3 screws on top are easy enough, it's pulling the grill off without breaking the grill tabs that's a PITA. The grill pulls straight forward off the front of the car once the top screws are removed. But to do that I had to get out my longest screwdriver and push the bottom tabs out a bit. Once the 3 top screws are removed you can get in behind the grill where you can see the center and end grill tabs. The center tab is the worst. I had to use two long screwdrivers at once, one to push on the cernter tab and the other to push against the bumper. Once I had one screwdriver holding the bumper in place and keeping it from flexing, the center grill tab popped right out. When I put the grill back in I smeared a tiny bit of silicone grease on the tabs in the (probably false) hope that they'll pop right out next time.
The headlight assembly.
Remove the 7 T-25 torx screws, unplug the headlight assembly, and wrestle the headlight assembly out of car. Replace the offending bulb with stock, LEDs, or whatever. I used stock replacement Osram/Sylvania LL 7440.
After the headlight assembly is back in place and plugged in, start with the front and rear bottom screws first as these are the ones that align the headlight assembly with the bumper. After those are in place install the other screws and top bracket.
Unless you are lucky enough have a 6-axis triple jointed wrist, you are not going to get your wrist/hand under the headlight assembly to remove the cover and bulb holder. One has better odds of getting the cover and bulb holder off, but 99.99% of NOT getting everything back in correctly. Key word here is correctly.
As bulbs come in 2-packs I went ahead and replaced the DRL on the other side. Both bulbs had that black haze inside the glass.